Portfolio Performance Report - 120d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (120d)	BL (120d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	90.0%	99.0%

Cumulative Return	348.15%	320.26%	539.04%	429.67%	428.75%
CAGR﹪	6.16%	5.89%	7.67%	6.87%	6.86%

Sharpe	0.39	0.4	0.48	0.46	0.44
Prob. Sharpe Ratio	97.48%	97.76%	99.14%	98.81%	98.52%
Smart Sharpe	0.37	0.38	0.45	0.43	0.41
Sortino	0.55	0.57	0.67	0.63	0.61
Smart Sortino	0.51	0.53	0.63	0.59	0.57
Sortino/√2	0.39	0.4	0.48	0.44	0.43
Smart Sortino/√2	0.36	0.38	0.45	0.42	0.4
Omega	1.08	1.08	1.09	1.09	1.09

Max Drawdown	-62.16%	-53.78%	-55.19%	-59.35%	-59.3%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2002-12-30	2009-03-09
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2000-09-05	2007-11-01
Max DD Period End	2013-10-17	2013-03-04	2012-08-15	2005-08-10	2013-09-17
Longest DD Days	2178	2450	2404	1801	2148
Volatility (ann.)	20.73%	18.55%	19.53%	18.26%	19.63%
Calmar	0.1	0.11	0.14	0.12	0.12
Skew	-0.29	-0.11	-0.01	-0.62	-0.27
Kurtosis	11.27	12.25	11.16	7.48	13.53

Expected Daily	0.02%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.5%	0.48%	0.62%	0.55%	0.55%
Expected Yearly	5.94%	5.68%	7.39%	6.62%	6.61%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-1.86%	-2.0%
Expected Shortfall (cVaR)	-3.58%	-3.58%	-3.58%	-3.58%	-3.58%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.09	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.94	0.96	0.92	0.95	0.94
Outlier Win Ratio	3.78	4.28	4.1	4.68	4.13
Outlier Loss Ratio	3.76	4.29	3.96	3.88	3.98

MTD	2.37%	2.57%	5.17%	4.67%	1.52%
3M	6.97%	10.94%	12.06%	5.14%	4.45%
6M	9.5%	14.12%	16.79%	5.15%	6.57%
YTD	0.09%	3.83%	6.85%	1.75%	-1.55%
1Y	8.61%	18.42%	29.36%	6.08%	5.3%
3Y (ann.)	1.78%	6.31%	10.76%	-4.45%	0.16%
5Y (ann.)	6.14%	9.1%	14.72%	5.3%	5.64%
10Y (ann.)	4.57%	9.29%	12.72%	4.28%	4.33%
All-time (ann.)	6.16%	5.89%	7.67%	6.87%	6.86%

Best Day	14.28%	11.37%	14.52%	7.21%	14.25%
Worst Day	-11.79%	-12.93%	-10.94%	-11.4%	-12.04%
Best Month	16.66%	13.95%	12.7%	19.4%	17.55%
Worst Month	-23.8%	-14.06%	-16.52%	-19.51%	-21.36%
Best Year	48.56%	26.5%	32.31%	62.46%	57.47%
Worst Year	-44.7%	-33.84%	-36.8%	-32.19%	-40.74%

Avg. Drawdown	-3.02%	-2.3%	-2.05%	-3.63%	-2.48%
Avg. Drawdown Days	54	46	32	58	48
Recovery Factor	-	-	-	-	-
Ulcer Index	0.18	0.14	0.17	0.21	0.15
Serenity Index	0.38	0.39	0.44	0.29	0.45

Avg. Up Month	4.31%	3.48%	3.81%	4.31%	4.19%
Avg. Down Month	-4.91%	-4.05%	-4.14%	-4.51%	-4.54%
Win Days	53.3%	53.12%	54.29%	53.23%	53.44%
Win Month	58.61%	60.93%	62.58%	58.8%	59.8%
Win Quarter	63.37%	65.35%	70.3%	69.07%	66.67%
Win Year	65.38%	69.23%	76.92%	65.38%	61.54%

EOY Returns

Year	EQW	^DJI	SPY	MV (120d)	BL (120d)
1999	16.93	22.39	19.28	21.94	8.41
2000	-7.54	-4.22	-7.41	-7.18	-6.99
2001	-16.16	-5.12	-10.11	-26.25	-9.66
2002	-9.94	-15.11	-20.83	-36.60	-5.61
2003	40.78	23.95	26.20	49.55	46.35
2004	25.60	3.69	10.78	36.61	24.46
2005	12.62	-0.08	5.25	12.91	13.80
2006	29.23	15.58	15.21	32.01	29.91
2007	15.49	7.29	6.28	26.60	19.18
2008	-48.95	-34.13	-37.36	-29.68	-42.25
2009	41.61	20.17	26.93	49.29	42.88
2010	12.86	11.76	15.63	-3.83	11.70
2011	-11.18	7.59	4.53	-16.64	-14.02
2012	21.58	7.69	15.64	17.66	20.35
2013	19.55	24.03	28.62	20.67	17.21
2014	-4.95	7.84	13.27	9.37	-1.57
2015	-0.29	-1.07	2.41	-3.14	-0.62
2016	5.44	13.38	12.18	15.53	4.48
2017	24.15	22.61	19.88	18.95	24.74
2018	-12.32	-4.20	-3.23	-16.48	-13.60
2019	20.38	20.94	27.97	11.66	18.79
2020	14.37	13.82	22.47	28.88	17.18
2021	13.35	17.94	26.11	16.38	13.29
2022	-12.96	-7.24	-17.13	-33.12	-15.08
2023	14.26	13.49	24.11	11.79	13.19
2024	0.20	3.81	6.73	1.87	-1.45

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2013-10-17	-62.16	2178
2000-01-04	2004-01-02	-42.42	1460
2020-01-21	2020-11-13	-36.40	298
2021-11-09	2024-02-23	-30.17	837
2014-07-07	2017-05-01	-24.39	1030
2018-01-29	2019-12-31	-21.06	702
2006-05-10	2006-10-13	-15.78	157
2007-07-13	2007-09-28	-13.07	78
1999-01-07	1999-04-26	-11.73	110
2004-02-18	2004-09-20	-11.43	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (120d)

Started	Recovered	Drawdown	Days
2000-09-05	2005-08-10	-59.35	1801
2018-01-29	2020-10-02	-40.62	978
2007-11-01	2009-09-15	-36.25	685
2021-06-08	2024-02-23	-35.04	991
2009-10-16	2013-05-13	-28.80	1306
2015-05-18	2016-04-11	-16.58	330
2006-05-11	2006-09-25	-15.33	138
2000-03-06	2000-07-19	-15.29	136
2016-09-08	2017-07-24	-14.04	320
2007-07-20	2007-09-24	-13.98	67

BL (120d)

Started	Recovered	Drawdown	Days
2007-11-01	2013-09-17	-59.30	2148
2018-01-29	2020-11-13	-39.07	1020
2000-01-04	2003-10-02	-33.61	1368
2021-11-09	2024-02-23	-29.58	837
2014-07-07	2017-04-21	-22.64	1020
2006-05-10	2006-10-11	-15.44	155
2004-02-18	2004-09-30	-13.14	226
2007-07-13	2007-09-26	-12.74	76
2007-02-27	2007-03-20	-8.59	22
2014-01-16	2014-02-21	-7.01	37